statsmodels.distributions.copula.api.ExtremeValueCopula.tau_simulated

ExtremeValueCopula.tau_simulated(nobs=1024, rng=None)

Kendall’s tau based on simulated samples.

Parameters:

nobsint, optional

Number of samples to generate from the copula.

rng{None, int, array_like[int], numpy.random.Generator, numpy.random.RandomState}, optional

If rng is None, a new Generator is created using fresh entropy from the operating system. If rng is an int or array of ints, a new Generator is created, seeded with rng. If rng is already a Generator or RandomState instance, that instance is used.

Returns:

taufloat

Kendall’s tau.